Yeah, you're right. It seems that as soon as there is any associated popup, whether system- or application-generated, the "mouse up" is consumed by the popup menu itself which, while logical enough, might be a trifle annoying.
A workaround might be to add a call to your OnMouseUp handler in the menu items's OnClick handler, for which you might, for example save the mouse state (coordinates, buttons and shift state) in the menu's OnPopUp handler. Not really a piece of cake but doable.
What I'm not sure is whether this behaviour could be considered a bug or simply widegetset-dependant, as so many other things, but if you want to can add a report to the bug tracker, even if just to see what the devs think
